Most image editing programs will let you add captions to your photos (Paint
can do this), but I don't think there are any stand alone CD players that
will play them. You want to make a VCD (Video Compact Disk) and they will
only play on computers and DVD players. Not all DVD players are created
equal, so if you buy one, be sure it supports this format.
This Tech TV article gives more details:
http://www.techtv.com/callforhelp/answerstips/story/0,24330,3365274,00.html
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I am looking for a program that will let me turn my photos into a slideshow,
with captions, and burn (I have a burn program) it onto a CD in jpg format
to be played on  CD player.

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